Asked by George
on 15 Nov 2011

Hi

I want to find a solution of the following problem.

min 1/2 * x'*Q*x - f*x' s.t. sum(x) = 0 sum(abs(x)) = 1

I am using the function quadprog but i don't know how to give the second constraint the one with the absolute.

Is there a way to give such constraints in quadprog or fmincon or some other matlab optimization function??

Any help would be appreciated

Thanks George

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